Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0493 |
| Annualized Std Dev | 0.2884 |
| Annualized Sharpe (Rf=0%) | 0.1709 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3851.0000 |
| NAs | 1.0000 |
| Minimum | -0.1379 |
| Quartile 1 | -0.0058 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0070 |
| Maximum | 0.2063 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0182 |
| Skewness | 0.0974 |
| Kurtosis | 15.1145 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0141 |
| Loss Deviation | 0.0152 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.7617 |
| Historical VaR (95%) | -0.0251 |
| Historical ES (95%) | -0.0452 |
| Modified VaR (95%) | -0.0235 |
| Modified ES (95%) | -0.0235 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-17 | 2009-03-09 | 2013-11-14 | -0.7617 | 1638 | 456 | 1182 |
| 2020-02-18 | 2020-03-23 | 2021-03-15 | -0.4472 | 271 | 25 | 246 |
| 2018-09-21 | 2018-12-24 | 2019-04-26 | -0.1838 | 149 | 65 | 84 |
| 2015-12-02 | 2016-02-11 | 2016-06-01 | -0.1571 | 125 | 49 | 76 |
| 2015-08-19 | 2015-08-25 | 2015-12-01 | -0.0940 | 73 | 5 | 68 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 | 0 | 0.4 |
| 2006 | 0.3 | 0.1 | -0.5 | -1.1 | 1 | 0.1 | -0.9 | 0 | -0.4 | -0.1 | -1 | -0.7 | -3 |
| 2007 | 1.1 | -0.3 | -0.1 | -0.3 | 0.2 | -0.3 | 0.7 | 1 | 1.8 | -2.2 | 1.6 | 0 | 3.2 |
| 2008 | 1.7 | -2.7 | 4.9 | 3.2 | -0.7 | 1 | 0 | -0.3 | -3.3 | 5.7 | -12.4 | 2.1 | -2 |
| 2009 | -4.3 | -6.8 | 2.9 | -1.8 | 1.1 | 0.7 | 0.7 | -5.7 | -3.8 | -4.1 | 0.6 | -0.9 | -19.9 |
| 2010 | 1.2 | 0.9 | 0.9 | -2.5 | -2.9 | -0.7 | -0.5 | 4.1 | -0.2 | -0.1 | 2.2 | 0.2 | 2.5 |
| 2011 | 2.3 | -1.8 | 1.2 | -0.2 | -2.8 | 1.4 | -0.8 | -2 | -2.4 | -3.6 | -0.6 | -0.5 | -9.5 |
| 2012 | 2.2 | 0.7 | 0.2 | 0.7 | -2.4 | 2.1 | -0.6 | 0.6 | 0.3 | 0.5 | 0.3 | 1.2 | 5.8 |
| 2013 | 0.9 | 0 | -0.5 | -0.9 | -1.2 | 1.2 | 2.1 | -0.7 | 0.5 | -0.3 | -0.2 | 0.5 | 1.4 |
| 2014 | -1.1 | 0.6 | 0.2 | 0.5 | -0.1 | 0.8 | 0.1 | 0.4 | -0.9 | 1.3 | -0.9 | -1.2 | -0.1 |
| 2015 | -1.5 | -0.4 | -0.2 | 0.9 | -0.2 | 2.1 | -0.3 | -2.3 | -0.4 | -1.4 | 1 | -1.1 | -3.9 |
| 2016 | -0.2 | 2.6 | 1 | 0.6 | 0 | -0.3 | -0.5 | -0.4 | 0.7 | -0.8 | 0.4 | 0 | 3.2 |
| 2017 | 0.1 | 1.5 | -0.1 | 0 | 1.2 | -0.3 | 0.5 | 0.2 | 0 | 0 | -0.1 | -0.3 | 2.7 |
| 2018 | 1 | -1.2 | 0.2 | 0.2 | 0.8 | 0.1 | -0.2 | 0.2 | -0.6 | 0.4 | 0.5 | 1 | 2.2 |
| 2019 | 1 | 0.5 | 1.7 | -0.9 | -0.9 | 1.5 | -1.8 | 0.1 | -1.8 | 0.7 | -0.5 | 0.3 | -0.2 |
| 2020 | -1.6 | -3.8 | -5.7 | -3.5 | 1.1 | -1.8 | 0.5 | 0.6 | 1.1 | -0.4 | 2 | 0.9 | -10.2 |
| 2021 | 1.2 | 2.2 | -1.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-11-15 17.7 SPY 123. -0.0036 0.0083 0.0347 0.0085 0.0455 0.358 -0.123 GLD 46.7 0.0009 0.0163
2 2005-11-16 17.5 SPY 123. 0.002 0.009 0.0481 0.0106 0.0414 0.351 -0.118 GLD 47.8 0.024 0.0262
3 2005-11-17 17.7 SPY 125. 0.00930 0.0105 0.0406 0.0177 0.0497 0.378 -0.0877 GLD 48.5 0.0147 0.043
4 2005-11-18 17.7 SPY 125. 0.0039 0.0111 0.0634 0.0217 0.0657 0.385 -0.077 GLD 48.5 -0.0004 0.0355
5 2005-11-21 17.8 SPY 126. 0.005 0.0167 0.0646 0.0288 0.0659 0.362 -0.0961 GLD 49.0 0.0109 0.0508
6 2005-11-22 17.8 SPY 126. 0.0043 0.0248 0.0529 0.0425 0.0689 0.342 -0.095 GLD 49.3 0.0067 0.057
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
